Title

Low-Frequency Analysis of Economic Time Series

Author(s)

Ulrich K. Müller Ulrich Müller (Princeton University)

Mark W. Watson Mark Watson (Princeton University)

Abstract

This chapter discusses econometric methods for studying low-frequency variation and covariation in economic time series. We use the term low-frequency for dynamics over time spans that are a non-negligible fraction of the sample period. For example, when studying 70 years of post-WWII quarterly data, decadal variation is low-frequency, and when studying a decade of daily return data, yearly variation is low-frequency. Much of this chapter is organized around a set of empirical exercises that feature questions about low-frequency variability and covariability, and there is no better way to introduce the topics to be covered than to look at the data featured in these exercises.

Creation Date

2020-09

Section URL ID

Paper Number

2020-13

URL

http://www.princeton.edu/~umueller/HOE.pdf

File Function

Jel

C01, C10

Keyword(s)

Econometrics

Suppress

false

Series

13